product of quadratic forms of random vectors uniform on the sphere
$begingroup$
Let $g = (g_1, ..., g_n)$ be a random vector distributed uniformly on the sphere ${ x in mathbb{R}^n : | x |_2 = 1 }$. Let $A, B$ be two symmetric $n times n$ matrices.
I am interested in a simple formula for: $$mathbb{E}[ g^T A g g^T B g ]$$
In particular, I know that if $g$ is a standard normal $N(0, I)$, then
$$
mathbb{E}[ g^T A g g^T B g ] = 2 mathrm{Tr}(AB) + mathrm{Tr}(A)mathrm{Tr}(B) :.
$$
Does something similar hold in the uniform on a sphere case?
probability-theory probability-distributions uniform-distribution
$endgroup$
add a comment |
$begingroup$
Let $g = (g_1, ..., g_n)$ be a random vector distributed uniformly on the sphere ${ x in mathbb{R}^n : | x |_2 = 1 }$. Let $A, B$ be two symmetric $n times n$ matrices.
I am interested in a simple formula for: $$mathbb{E}[ g^T A g g^T B g ]$$
In particular, I know that if $g$ is a standard normal $N(0, I)$, then
$$
mathbb{E}[ g^T A g g^T B g ] = 2 mathrm{Tr}(AB) + mathrm{Tr}(A)mathrm{Tr}(B) :.
$$
Does something similar hold in the uniform on a sphere case?
probability-theory probability-distributions uniform-distribution
$endgroup$
add a comment |
$begingroup$
Let $g = (g_1, ..., g_n)$ be a random vector distributed uniformly on the sphere ${ x in mathbb{R}^n : | x |_2 = 1 }$. Let $A, B$ be two symmetric $n times n$ matrices.
I am interested in a simple formula for: $$mathbb{E}[ g^T A g g^T B g ]$$
In particular, I know that if $g$ is a standard normal $N(0, I)$, then
$$
mathbb{E}[ g^T A g g^T B g ] = 2 mathrm{Tr}(AB) + mathrm{Tr}(A)mathrm{Tr}(B) :.
$$
Does something similar hold in the uniform on a sphere case?
probability-theory probability-distributions uniform-distribution
$endgroup$
Let $g = (g_1, ..., g_n)$ be a random vector distributed uniformly on the sphere ${ x in mathbb{R}^n : | x |_2 = 1 }$. Let $A, B$ be two symmetric $n times n$ matrices.
I am interested in a simple formula for: $$mathbb{E}[ g^T A g g^T B g ]$$
In particular, I know that if $g$ is a standard normal $N(0, I)$, then
$$
mathbb{E}[ g^T A g g^T B g ] = 2 mathrm{Tr}(AB) + mathrm{Tr}(A)mathrm{Tr}(B) :.
$$
Does something similar hold in the uniform on a sphere case?
probability-theory probability-distributions uniform-distribution
probability-theory probability-distributions uniform-distribution
asked Dec 21 '18 at 22:53
stevesteve
397110
397110
add a comment |
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
Here is another approach to reduce the problem to the Gaussian case. Let $g sim N(0,I)$ and let $theta = g / |g|$ and $r = |g|$ so that $g = rtheta$. It is not hard to verify that $theta$ is uniformly distributed on the sphere and is independent of $r$. Then, we have, by independence,
begin{align*}
mathbb E (g^T A g g^T B g) = mathbb E (theta^T A theta theta^T B theta) cdot mathbb E (r^4)
end{align*}
and
begin{align*}
mathbb E (r^4) &= mathbb E Big(sum_i g_i^2Big)^2 \
&=sum_i mathbb E g_i^4 + sum_{i neq j} mathbb E g_i^2 mathbb Eg_j^2 \
&= 3 n + n(n-1) = n(n+2).
end{align*}
$endgroup$
$begingroup$
Great! This is much simpler-- thanks
$endgroup$
– steve
Dec 22 '18 at 5:40
$begingroup$
@steve, no problem.
$endgroup$
– passerby51
Dec 22 '18 at 5:44
add a comment |
$begingroup$
It turns out the answer is:
$$
mathbb{E}[g^T A g g^T B g] = frac{1}{n(n+2)} (2 mathrm{Tr}(AB) + mathrm{Tr}(A) mathrm{Tr}(B)) :.
$$
This comes from the Theorem in Section 3 of
D. P. Wiens, "On Moments of Quadratic Forms in Non-Spherically Distributed Variables" (https://pdfs.semanticscholar.org/f9e3/9424ff32aec189b441dd189b6f819764de6b.pdf). It is straightforward to check that the conditions (1.1) hold for the uniform distribution over the sphere.
To apply the result, you need to compute $mathbb{E}[g_1^2 g_2^2]$. It turns out this is equal to $frac{1}{n(n+2)}$. Here is a simple way to compute this by symmetry. Observe that:
$$
g_1^2 g_2^2 = (1 - g_2^2 - ... - g_n^2) g_2^2 = g_2^2 - g_2^4 - g_3^2 g_2^2 - ... - g_n^2 g_2^2 :.
$$
Let $mu = mathbb{E}[g_1^2 g_2^2]$. By symmetry, $mu = mathbb{E}[g_i^2 g_j^2]$ for any $i neq j$. Hence taking expectations,
$$
mu = mathbb{E}[g_2^2] - mathbb{E}[g_2^4] - (n-2) mu :.
$$
Rearrange to obtain:
$$
mu = frac{1}{n-1}left( mathbb{E}[g_2^2] - mathbb{E}[g_2^4] right) :.
$$
We can compute $mathbb{E}[g_2^2] = 1/n$ by a similar symmetry argument. Furthermore, since $g_2^2 stackrel{d}{=} mathrm{Beta}(1/2, (n-1)/2)$, we can compute $mathbb{E}[g_2^4]$ by looking up the formula of the second moment of a Beta distribution, which gives us $mathbb{E}[g_2^4] = frac{3}{n(n+2)}$. Hence,
$$
mu = frac{1}{n-1}left( frac{1}{n} - frac{3}{n(n+2)} right) = frac{1}{n(n+2)} :.
$$
$endgroup$
add a comment |
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2 Answers
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active
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2 Answers
2
active
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active
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oldest
votes
$begingroup$
Here is another approach to reduce the problem to the Gaussian case. Let $g sim N(0,I)$ and let $theta = g / |g|$ and $r = |g|$ so that $g = rtheta$. It is not hard to verify that $theta$ is uniformly distributed on the sphere and is independent of $r$. Then, we have, by independence,
begin{align*}
mathbb E (g^T A g g^T B g) = mathbb E (theta^T A theta theta^T B theta) cdot mathbb E (r^4)
end{align*}
and
begin{align*}
mathbb E (r^4) &= mathbb E Big(sum_i g_i^2Big)^2 \
&=sum_i mathbb E g_i^4 + sum_{i neq j} mathbb E g_i^2 mathbb Eg_j^2 \
&= 3 n + n(n-1) = n(n+2).
end{align*}
$endgroup$
$begingroup$
Great! This is much simpler-- thanks
$endgroup$
– steve
Dec 22 '18 at 5:40
$begingroup$
@steve, no problem.
$endgroup$
– passerby51
Dec 22 '18 at 5:44
add a comment |
$begingroup$
Here is another approach to reduce the problem to the Gaussian case. Let $g sim N(0,I)$ and let $theta = g / |g|$ and $r = |g|$ so that $g = rtheta$. It is not hard to verify that $theta$ is uniformly distributed on the sphere and is independent of $r$. Then, we have, by independence,
begin{align*}
mathbb E (g^T A g g^T B g) = mathbb E (theta^T A theta theta^T B theta) cdot mathbb E (r^4)
end{align*}
and
begin{align*}
mathbb E (r^4) &= mathbb E Big(sum_i g_i^2Big)^2 \
&=sum_i mathbb E g_i^4 + sum_{i neq j} mathbb E g_i^2 mathbb Eg_j^2 \
&= 3 n + n(n-1) = n(n+2).
end{align*}
$endgroup$
$begingroup$
Great! This is much simpler-- thanks
$endgroup$
– steve
Dec 22 '18 at 5:40
$begingroup$
@steve, no problem.
$endgroup$
– passerby51
Dec 22 '18 at 5:44
add a comment |
$begingroup$
Here is another approach to reduce the problem to the Gaussian case. Let $g sim N(0,I)$ and let $theta = g / |g|$ and $r = |g|$ so that $g = rtheta$. It is not hard to verify that $theta$ is uniformly distributed on the sphere and is independent of $r$. Then, we have, by independence,
begin{align*}
mathbb E (g^T A g g^T B g) = mathbb E (theta^T A theta theta^T B theta) cdot mathbb E (r^4)
end{align*}
and
begin{align*}
mathbb E (r^4) &= mathbb E Big(sum_i g_i^2Big)^2 \
&=sum_i mathbb E g_i^4 + sum_{i neq j} mathbb E g_i^2 mathbb Eg_j^2 \
&= 3 n + n(n-1) = n(n+2).
end{align*}
$endgroup$
Here is another approach to reduce the problem to the Gaussian case. Let $g sim N(0,I)$ and let $theta = g / |g|$ and $r = |g|$ so that $g = rtheta$. It is not hard to verify that $theta$ is uniformly distributed on the sphere and is independent of $r$. Then, we have, by independence,
begin{align*}
mathbb E (g^T A g g^T B g) = mathbb E (theta^T A theta theta^T B theta) cdot mathbb E (r^4)
end{align*}
and
begin{align*}
mathbb E (r^4) &= mathbb E Big(sum_i g_i^2Big)^2 \
&=sum_i mathbb E g_i^4 + sum_{i neq j} mathbb E g_i^2 mathbb Eg_j^2 \
&= 3 n + n(n-1) = n(n+2).
end{align*}
answered Dec 22 '18 at 5:09
passerby51passerby51
2,1311018
2,1311018
$begingroup$
Great! This is much simpler-- thanks
$endgroup$
– steve
Dec 22 '18 at 5:40
$begingroup$
@steve, no problem.
$endgroup$
– passerby51
Dec 22 '18 at 5:44
add a comment |
$begingroup$
Great! This is much simpler-- thanks
$endgroup$
– steve
Dec 22 '18 at 5:40
$begingroup$
@steve, no problem.
$endgroup$
– passerby51
Dec 22 '18 at 5:44
$begingroup$
Great! This is much simpler-- thanks
$endgroup$
– steve
Dec 22 '18 at 5:40
$begingroup$
Great! This is much simpler-- thanks
$endgroup$
– steve
Dec 22 '18 at 5:40
$begingroup$
@steve, no problem.
$endgroup$
– passerby51
Dec 22 '18 at 5:44
$begingroup$
@steve, no problem.
$endgroup$
– passerby51
Dec 22 '18 at 5:44
add a comment |
$begingroup$
It turns out the answer is:
$$
mathbb{E}[g^T A g g^T B g] = frac{1}{n(n+2)} (2 mathrm{Tr}(AB) + mathrm{Tr}(A) mathrm{Tr}(B)) :.
$$
This comes from the Theorem in Section 3 of
D. P. Wiens, "On Moments of Quadratic Forms in Non-Spherically Distributed Variables" (https://pdfs.semanticscholar.org/f9e3/9424ff32aec189b441dd189b6f819764de6b.pdf). It is straightforward to check that the conditions (1.1) hold for the uniform distribution over the sphere.
To apply the result, you need to compute $mathbb{E}[g_1^2 g_2^2]$. It turns out this is equal to $frac{1}{n(n+2)}$. Here is a simple way to compute this by symmetry. Observe that:
$$
g_1^2 g_2^2 = (1 - g_2^2 - ... - g_n^2) g_2^2 = g_2^2 - g_2^4 - g_3^2 g_2^2 - ... - g_n^2 g_2^2 :.
$$
Let $mu = mathbb{E}[g_1^2 g_2^2]$. By symmetry, $mu = mathbb{E}[g_i^2 g_j^2]$ for any $i neq j$. Hence taking expectations,
$$
mu = mathbb{E}[g_2^2] - mathbb{E}[g_2^4] - (n-2) mu :.
$$
Rearrange to obtain:
$$
mu = frac{1}{n-1}left( mathbb{E}[g_2^2] - mathbb{E}[g_2^4] right) :.
$$
We can compute $mathbb{E}[g_2^2] = 1/n$ by a similar symmetry argument. Furthermore, since $g_2^2 stackrel{d}{=} mathrm{Beta}(1/2, (n-1)/2)$, we can compute $mathbb{E}[g_2^4]$ by looking up the formula of the second moment of a Beta distribution, which gives us $mathbb{E}[g_2^4] = frac{3}{n(n+2)}$. Hence,
$$
mu = frac{1}{n-1}left( frac{1}{n} - frac{3}{n(n+2)} right) = frac{1}{n(n+2)} :.
$$
$endgroup$
add a comment |
$begingroup$
It turns out the answer is:
$$
mathbb{E}[g^T A g g^T B g] = frac{1}{n(n+2)} (2 mathrm{Tr}(AB) + mathrm{Tr}(A) mathrm{Tr}(B)) :.
$$
This comes from the Theorem in Section 3 of
D. P. Wiens, "On Moments of Quadratic Forms in Non-Spherically Distributed Variables" (https://pdfs.semanticscholar.org/f9e3/9424ff32aec189b441dd189b6f819764de6b.pdf). It is straightforward to check that the conditions (1.1) hold for the uniform distribution over the sphere.
To apply the result, you need to compute $mathbb{E}[g_1^2 g_2^2]$. It turns out this is equal to $frac{1}{n(n+2)}$. Here is a simple way to compute this by symmetry. Observe that:
$$
g_1^2 g_2^2 = (1 - g_2^2 - ... - g_n^2) g_2^2 = g_2^2 - g_2^4 - g_3^2 g_2^2 - ... - g_n^2 g_2^2 :.
$$
Let $mu = mathbb{E}[g_1^2 g_2^2]$. By symmetry, $mu = mathbb{E}[g_i^2 g_j^2]$ for any $i neq j$. Hence taking expectations,
$$
mu = mathbb{E}[g_2^2] - mathbb{E}[g_2^4] - (n-2) mu :.
$$
Rearrange to obtain:
$$
mu = frac{1}{n-1}left( mathbb{E}[g_2^2] - mathbb{E}[g_2^4] right) :.
$$
We can compute $mathbb{E}[g_2^2] = 1/n$ by a similar symmetry argument. Furthermore, since $g_2^2 stackrel{d}{=} mathrm{Beta}(1/2, (n-1)/2)$, we can compute $mathbb{E}[g_2^4]$ by looking up the formula of the second moment of a Beta distribution, which gives us $mathbb{E}[g_2^4] = frac{3}{n(n+2)}$. Hence,
$$
mu = frac{1}{n-1}left( frac{1}{n} - frac{3}{n(n+2)} right) = frac{1}{n(n+2)} :.
$$
$endgroup$
add a comment |
$begingroup$
It turns out the answer is:
$$
mathbb{E}[g^T A g g^T B g] = frac{1}{n(n+2)} (2 mathrm{Tr}(AB) + mathrm{Tr}(A) mathrm{Tr}(B)) :.
$$
This comes from the Theorem in Section 3 of
D. P. Wiens, "On Moments of Quadratic Forms in Non-Spherically Distributed Variables" (https://pdfs.semanticscholar.org/f9e3/9424ff32aec189b441dd189b6f819764de6b.pdf). It is straightforward to check that the conditions (1.1) hold for the uniform distribution over the sphere.
To apply the result, you need to compute $mathbb{E}[g_1^2 g_2^2]$. It turns out this is equal to $frac{1}{n(n+2)}$. Here is a simple way to compute this by symmetry. Observe that:
$$
g_1^2 g_2^2 = (1 - g_2^2 - ... - g_n^2) g_2^2 = g_2^2 - g_2^4 - g_3^2 g_2^2 - ... - g_n^2 g_2^2 :.
$$
Let $mu = mathbb{E}[g_1^2 g_2^2]$. By symmetry, $mu = mathbb{E}[g_i^2 g_j^2]$ for any $i neq j$. Hence taking expectations,
$$
mu = mathbb{E}[g_2^2] - mathbb{E}[g_2^4] - (n-2) mu :.
$$
Rearrange to obtain:
$$
mu = frac{1}{n-1}left( mathbb{E}[g_2^2] - mathbb{E}[g_2^4] right) :.
$$
We can compute $mathbb{E}[g_2^2] = 1/n$ by a similar symmetry argument. Furthermore, since $g_2^2 stackrel{d}{=} mathrm{Beta}(1/2, (n-1)/2)$, we can compute $mathbb{E}[g_2^4]$ by looking up the formula of the second moment of a Beta distribution, which gives us $mathbb{E}[g_2^4] = frac{3}{n(n+2)}$. Hence,
$$
mu = frac{1}{n-1}left( frac{1}{n} - frac{3}{n(n+2)} right) = frac{1}{n(n+2)} :.
$$
$endgroup$
It turns out the answer is:
$$
mathbb{E}[g^T A g g^T B g] = frac{1}{n(n+2)} (2 mathrm{Tr}(AB) + mathrm{Tr}(A) mathrm{Tr}(B)) :.
$$
This comes from the Theorem in Section 3 of
D. P. Wiens, "On Moments of Quadratic Forms in Non-Spherically Distributed Variables" (https://pdfs.semanticscholar.org/f9e3/9424ff32aec189b441dd189b6f819764de6b.pdf). It is straightforward to check that the conditions (1.1) hold for the uniform distribution over the sphere.
To apply the result, you need to compute $mathbb{E}[g_1^2 g_2^2]$. It turns out this is equal to $frac{1}{n(n+2)}$. Here is a simple way to compute this by symmetry. Observe that:
$$
g_1^2 g_2^2 = (1 - g_2^2 - ... - g_n^2) g_2^2 = g_2^2 - g_2^4 - g_3^2 g_2^2 - ... - g_n^2 g_2^2 :.
$$
Let $mu = mathbb{E}[g_1^2 g_2^2]$. By symmetry, $mu = mathbb{E}[g_i^2 g_j^2]$ for any $i neq j$. Hence taking expectations,
$$
mu = mathbb{E}[g_2^2] - mathbb{E}[g_2^4] - (n-2) mu :.
$$
Rearrange to obtain:
$$
mu = frac{1}{n-1}left( mathbb{E}[g_2^2] - mathbb{E}[g_2^4] right) :.
$$
We can compute $mathbb{E}[g_2^2] = 1/n$ by a similar symmetry argument. Furthermore, since $g_2^2 stackrel{d}{=} mathrm{Beta}(1/2, (n-1)/2)$, we can compute $mathbb{E}[g_2^4]$ by looking up the formula of the second moment of a Beta distribution, which gives us $mathbb{E}[g_2^4] = frac{3}{n(n+2)}$. Hence,
$$
mu = frac{1}{n-1}left( frac{1}{n} - frac{3}{n(n+2)} right) = frac{1}{n(n+2)} :.
$$
answered Dec 22 '18 at 3:35
stevesteve
397110
397110
add a comment |
add a comment |
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